中美棉花期货市场动态风险溢出效应测度--基于DCC-GARCH-ΔCoVaR模型  

Measurement of Dynamic Risk Spillover Effect in China-US Cotton Futures Market--Based on DCC-GARCH-ΔCoVaR model

作　　者：陈挺 喻晓玲[1] CHEN Ting;YU Xiao-ling(School of Economics and Management,Tarim University,Alar 843300,China)

机构地区：[1]塔里木大学经济与管理学院,新疆阿拉尔843300

出　　处：《数学的实践与认识》2021年第20期282-292,共11页Mathematics in Practice and Theory

基　　金：塔里木大学中美棉花产业合作研究中心。

摘　　要：通过观测2006年至2020年中美两国棉花期货价格日收益率数据,运用DCC-GARCH模型刻画了中美两国棉花期货价格收益率的波动以及时变的非线性相关性.同时利用模型中得到的参数,运用△CoVaR模型测算出中美两国棉花期货市场相互之间的风险溢出效应值.结果表明:在样本期内,中美两国棉花期货市场之间都表现出时变非线性的相关性;中美两国棉花期货市场相互之间都存在正向的风险溢出效应;美国棉花期货市场对中国棉花期货市场的边际溢出程度(风险溢出程度)要大于后者对前者的边际溢出程度(风险溢出程度).Observing the data of the daily return rate of cotton futures prices in China and the United States from 2006 to 2020,using the DCC-GARCH model to describe the volatility and time-varying non-linear correlation of the cotton futures price returns in China and the United States.At the same time,using the parameters obtained in the model,the △CoVaR model is used to calculate the value of the risk spillover effect between the cotton futures markets in China and the United States.The results show that during the sample period,the cotton futures markets of China and the United States have shown a time-varying non-linear correlation;the cotton futures markets of China and the United States both have positive risk spillover effects;US cotton futures The marginal spillover degree(risk spillover degree)of the market to China’s cotton futures market is greater than the marginal spillover degree(risk spillover degree)of the latter to the former.

关 键 词：中美棉花期货 动态相关 风险溢出程度 多元GARCH模型 

分 类 号：F313.7[经济管理—产业经济] F713.35